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題名：風險偏好、VIX期貨基差與S&P 500期貨報酬
書刊名：期貨與選擇權學刊
作者：童寶瑩／李昀寰 引用關係／李修全
作者(外文)：Tung, Pao-ying／Lee, Yun-huan／Lee, Hsiu-chuan
出版日期：2018
卷期：11:2
頁次：頁41-88
主題關鍵詞：風險偏好；VIX期貨基差；S&P 500期貨報酬；Risk appetite；VIX futures basis；S&P 500 index futures returns
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:13
期刊論文
1.Yu, J.、Yuan, Y.(2011)。Investor sentiment and the mean-variance relation。Journal of Financial Economics，100(2)，367-381。  new window
2.Andrews, Donald W. K.(1993)。Tests for Parameter Instability and Structural Change with Unknown Change Point。Econometrica: Journal of the Econometric Society，61(4)，821-856。  new window
3.Chang, C. Y.(2011)。The relationship between the 52-week high of an individual stock and stock market index level: Evidence from Taiwan。Journal of International Financial Markets, Institutions & Money，21(1)，14-27。  new window
4.Simon, D. P.、Wiggins, R. A. III(2001)。S&P Futures Returns and Contrary Sentiment Indicators。Journal of Futures Markets，21(5)，447-462。  new window
5.Simon, D. P.、Campasano, J.(2014)。The VIX futures basis: Evidence and trading strategies。Journal of Derivatives，21(3)，54-69。  new window
6.Grable, J.、Lytton, R.、O'Neill, B.(2004)。Projection bias and financial risk tolerance。Journal of Behavioral Finance，5(3)，142-147。  new window
7.Li, J.、Yu, J.(2012)。Investor Attention, Psychological Anchors, and Stock Return Predictability。Journal of Financial Economics，104(2)，401-419。  new window
8.Frijns, B.、Tourani‐Rad, A.、Webb, R. I.(2016)。On the Intraday Relation between the VIX and its Futures。Journal of Futures Markets，36(9)，870-886。  new window
9.Casarin, R.、Chang, C. L.、Jimenez-Martin, J. A.、McAleer, M.、Pérez-Amaral, T.(2013)。Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures。Mathematics and Computers in Simulation，94，183-204。  new window
10.Chen, Y. L.、Tsai, W. C.(2017)。Determinants of price discovery in the VIX futures market。Journal of Empirical Finance，43，59-73。  new window
11.Fu, X.、Sandri, M.、Shackleton, M. B.(2016)。Asymmetric Effects of Volatility Risk on Stock Returns: Evidence from VIX and VIX Futures。Journal of Futures Markets，36(11)，1029-1056。  new window
12.Lee, H. C.、Liao, T. H.、Tung, P. Y.(2017)。Investors' Heterogeneity in Beliefs, the VIX Futures Basis, and S&P 500 Index Futures Returns。Journal of Futures Markets，37(9)，939-960。  new window
13.Lin, Y. N.、Lin, A. Y.(2016)。Using VIX futures to hedge forward implied volatility risk。International Review of Economics and Finance，43，88-106。  new window
14.Patel, J.、Shah, S.、Thakkar, P.、Kotecha, K.(2015)。Predicting stock and stock price index movement using Trend Deterministic Data Preparation and machine learning techniques。Expert Systems with Applications，42(1)，259-268。  new window
15.Petmezas, D.、Santamaria, D.(2014)。Investor induced contagion during the banking and European sovereign debt crisis of 2007-2012: Wealth effect or portfolio rebalancing?。Journal of International Money and Finance，49，401-424。  new window
16.Yao, R.、Curl, A. L.(2011)。Do Market Returns Influence Risk Tolerance? Evidence from Panel Data。Journal of family and economic，32(3)，532-544。  new window
17.Zeileis, A.、Homik, K.(2007)。Generalized M-Fluctuation Tests for Parameter Instability。Statistica Neerlcmdica，61(4)，488-508。  new window
18.Zeileis, A.、Hothorn, T.、Homik, K.(2008)。Model-Based Recursive Partitioning。Journal of Computational and Graphical Statistics，17(2)，492-514。  new window
19.Griffin, Dale、Tversky, Amos(1992)。The Weighing of Evidence and the Determinants of Confidence。Cognitive Psychology，24(3)，411-435。  new window
圖書
1.Shefrin, Hersh(2008)。A Behavioral Approach To Asset Pricing。Boston：Elsevier Press。  new window
2.White, H.(1994)。Estimation, Inference and Specification Analysis。Cambridge, MA：Cambridge University Press。  new window
 
 
 
 
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